In [159]:
 
moms
Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
max_loss is 35.0%, not exceeded: OK!
Quantiles Statistics
min max mean std count count %
factor_quantile
1 1.599840 27.369760 12.262708 5.644803 69012 20.22792
2 12.329328 56.461240 32.135057 8.824386 68040 19.94302
3 24.904000 116.837556 65.093407 18.022221 68040 19.94302
4 54.177200 226.179800 129.964981 34.922625 68040 19.94302
5 110.470800 4200.398400 450.437476 542.811510 68040 19.94302
Information Analysis
1D 5D 20D
IC Mean 0.011 0.011 0.002
IC Std. 0.111 0.103 0.100
Risk-Adjusted IC 0.102 0.103 0.019
t-stat(IC) 3.166 3.199 0.584
p-value(IC) 0.002 0.001 0.559
IC Skew 0.010 -0.058 -0.176
IC Kurtosis -0.508 -0.402 -0.582
IC>0 Prob 0.542 0.556 0.523
Observation 972.000 972.000 972.000
<Figure size 432x288 with 0 Axes>
Returns Analysis
1D 5D 20D
Ann. alpha -0.102 -0.079 -0.056
beta 1.066 1.008 0.928
Ann. alpha (000300 based) -0.102 -0.079 -0.056
beta (000300 based) 1.066 1.008 0.928
Mean Period Wise RateReturn Top Quantile (bps) 5.739 5.437 4.789
Mean Period Wise RateReturn Bottom Quantile (bps) 14.856 12.960 11.530
Mean Period Wise Spread (bps) -9.117 -7.668 -6.528
All Time Technique Index
annual_return max_drawdown sharpe_ratio sortino_ratio calmar_ratio
1 0.440888 -0.195723 2.810042 4.557113 2.252611
2 0.302410 -0.217942 1.997670 2.916275 1.387567
3 0.243388 -0.179549 1.599684 2.298423 1.355554
4 0.189768 -0.212058 1.293379 1.816848 0.894887
5 0.135819 -0.250690 0.779567 1.092680 0.541783
Factor_Weighted Return 0.148096 -0.224396 0.983684 1.381185 0.659976
Top_minus_Bottom Return -0.212764 -0.614759 -1.679228 -2.176536 -0.346093
Top_minus_Index Return -0.094926 -0.333253 -1.248380 -1.664902 -0.284848
Year Wise Technique Index
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 1 1.080637 6.369511 -0.169658 4.822907 9.286233
2 0.683006 4.825398 -0.141544 3.486968 5.778685
3 0.419675 2.337389 -0.179549 2.330866 3.632759
4 0.418043 1.985197 -0.210580 2.485791 3.790304
5 0.254760 1.016237 -0.250690 1.235775 1.784959
2011-12-31 1 0.137771 0.703909 -0.195723 1.092345 1.488494
2 0.106066 0.486669 -0.217942 0.798623 1.040860
3 0.130665 0.735504 -0.177654 0.921372 1.221151
4 0.020897 0.098543 -0.212058 0.213194 0.275699
5 0.023920 0.097645 -0.244967 0.220592 0.293865
2012-12-31 1 0.203733 2.669943 -0.076306 1.835494 2.793015
2 0.146484 1.460254 -0.100314 1.339284 1.887659
3 0.182053 1.916203 -0.095007 1.478650 2.136505
4 0.157902 1.634696 -0.096594 1.236041 1.809672
5 0.146330 1.286196 -0.113770 0.914575 1.337043
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 Factor_Weighted Return 0.308068 1.372874 -0.224396 1.782711 2.632940
Top_minus_Bottom Return -0.400007 -0.759418 -0.526729 -3.258598 -3.868738
Top_minus_Index Return -0.187299 -0.692879 -0.270321 -2.318775 -2.932861
2011-12-31 Factor_Weighted Return 0.026250 0.117844 -0.222754 0.243179 0.321289
Top_minus_Bottom Return -0.099209 -0.537781 -0.184478 -0.744399 -1.036516
Top_minus_Index Return -0.051318 -0.510749 -0.100476 -0.685606 -0.945158
2012-12-31 Factor_Weighted Return 0.122581 1.279054 -0.095838 0.926970 1.351732
Top_minus_Bottom Return -0.046957 -0.486084 -0.096602 -0.339753 -0.487266
Top_minus_Index Return -0.014606 -0.309276 -0.047227 -0.185610 -0.268306
Turnover Analysis
1D 5D 20D
Quantile 1 Mean Turnover 0.004 0.020 0.042
Quantile 2 Mean Turnover 0.008 0.043 0.093
Quantile 3 Mean Turnover 0.009 0.043 0.094
Quantile 4 Mean Turnover 0.007 0.037 0.082
Quantile 5 Mean Turnover 0.003 0.017 0.037
1D 5D 20D
Mean Factor Rank Autocorrelation 1.0 0.999 0.997
max52s
Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
max_loss is 35.0%, not exceeded: OK!
Quantiles Statistics
min max mean std count count %
factor_quantile
1 -0.931351 -1.529843e-01 -0.425866 0.165502 69012 20.22792
2 -0.635083 -7.225271e-02 -0.254571 0.126927 68040 19.94302
3 -0.532640 -3.823810e-02 -0.178573 0.109297 68040 19.94302
4 -0.404570 -1.323252e-02 -0.115129 0.086571 68040 19.94302
5 -0.297896 1.371125e-15 -0.049568 0.056087 68040 19.94302
Information Analysis
1D 5D 20D
IC Mean 0.012 0.016 0.017
IC Std. 0.099 0.133 0.167
Risk-Adjusted IC 0.126 0.117 0.100
t-stat(IC) 3.931 3.643 3.104
p-value(IC) 0.000 0.000 0.002
IC Skew -0.122 -0.189 -0.843
IC Kurtosis 0.498 0.220 0.780
IC>0 Prob 0.569 0.585 0.619
Observation 972.000 972.000 972.000
<Figure size 432x288 with 0 Axes>
Returns Analysis
1D 5D 20D
Ann. alpha -0.005 0.009 0.035
beta -1.074 -1.107 -1.168
Ann. alpha (000300 based) -0.005 0.009 0.035
beta (000300 based) -1.074 -1.107 -1.168
Mean Period Wise RateReturn Top Quantile (bps) 5.924 5.603 5.794
Mean Period Wise RateReturn Bottom Quantile (bps) 14.175 12.730 10.176
Mean Period Wise Spread (bps) -8.251 -6.534 -3.346
All Time Technique Index
annual_return max_drawdown sharpe_ratio sortino_ratio calmar_ratio
1 0.403412 -0.289708 1.873946 2.984648 1.392477
2 0.282782 -0.243091 1.627064 2.385060 1.163278
3 0.227211 -0.202870 1.577226 2.232282 1.119986
4 0.238865 -0.161729 1.748524 2.488664 1.476947
5 0.151868 -0.181243 1.193270 1.617107 0.837928
Factor_Weighted Return -0.241064 -0.695053 -1.769793 -2.370525 -0.346829
Top_minus_Bottom Return -0.195648 -0.629492 -1.498235 -1.839739 -0.310803
Top_minus_Index Return -0.089810 -0.352616 -1.449898 -1.854891 -0.254696
Year Wise Technique Index
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 1 1.227048 4.798009 -0.255741 3.693691 6.832476
2 0.652600 3.190976 -0.204514 2.947985 4.832336
3 0.456940 2.478219 -0.184382 2.724638 4.197524
4 0.366936 2.355236 -0.155796 2.453676 3.719169
5 0.203241 1.400631 -0.145107 1.454617 2.056292
2011-12-31 1 0.028872 0.099659 -0.289708 0.253251 0.341152
2 0.071909 0.295811 -0.243091 0.511803 0.672258
3 0.080150 0.395081 -0.202870 0.618443 0.807127
4 0.166781 1.031237 -0.161729 1.192821 1.609147
5 0.072490 0.399963 -0.181243 0.591323 0.755960
2012-12-31 1 0.141959 1.033478 -0.137361 0.896503 1.337380
2 0.161246 1.468593 -0.109796 1.168415 1.715921
3 0.157275 1.627275 -0.096650 1.302991 1.876511
4 0.174963 2.172119 -0.080550 1.595025 2.296773
5 0.201202 3.327365 -0.060469 1.930290 2.804644
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 Factor_Weighted Return -0.440582 -0.729168 -0.604225 -3.470086 -4.173546
Top_minus_Bottom Return -0.476492 -0.793846 -0.600232 -3.847249 -4.233587
Top_minus_Index Return -0.228258 -0.740834 -0.308110 -3.627859 -4.121535
2011-12-31 Factor_Weighted Return -0.063120 -0.215081 -0.293473 -0.377419 -0.586443
Top_minus_Bottom Return 0.029905 0.296932 -0.100713 0.310785 0.443642
Top_minus_Index Return -0.013569 -0.178425 -0.076048 -0.200274 -0.288411
2012-12-31 Factor_Weighted Return -0.137398 -0.663991 -0.206927 -1.055634 -1.438860
Top_minus_Bottom Return 0.035308 0.228751 -0.154349 0.345028 0.470688
Top_minus_Index Return 0.024373 0.357364 -0.068204 0.455824 0.649139
Turnover Analysis
1D 5D 20D
Quantile 1 Mean Turnover 0.018 0.089 0.200
Quantile 2 Mean Turnover 0.049 0.243 0.476
Quantile 3 Mean Turnover 0.065 0.327 0.572
Quantile 4 Mean Turnover 0.072 0.361 0.573
Quantile 5 Mean Turnover 0.042 0.209 0.405
1D 5D 20D
Mean Factor Rank Autocorrelation 0.991 0.954 0.829
min52s
Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
max_loss is 35.0%, not exceeded: OK!
Quantiles Statistics
min max mean std count count %
factor_quantile
1 0.000000 0.326824 0.088091 0.069308 69012 20.22792
2 0.012791 0.599535 0.221594 0.119560 68040 19.94302
3 0.051699 0.946568 0.366506 0.190479 68040 19.94302
4 0.115043 1.535131 0.566304 0.295962 68040 19.94302
5 0.226201 15.800235 1.234744 1.207803 68040 19.94302
Information Analysis
1D 5D 20D
IC Mean 0.001 0.003 0.008
IC Std. 0.113 0.135 0.117
Risk-Adjusted IC 0.005 0.022 0.073
t-stat(IC) 0.154 0.677 2.260
p-value(IC) 0.878 0.499 0.024
IC Skew -0.329 -0.217 -0.172
IC Kurtosis 0.343 0.389 -0.309
IC>0 Prob 0.519 0.524 0.557
Observation 972.000 972.000 972.000
<Figure size 432x288 with 0 Axes>
Returns Analysis
1D 5D 20D
Ann. alpha -0.023 -0.007 0.014
beta 1.196 1.149 1.091
Ann. alpha (000300 based) -0.023 -0.007 0.014
beta (000300 based) 1.196 1.149 1.091
Mean Period Wise RateReturn Top Quantile (bps) 9.592 9.046 8.520
Mean Period Wise RateReturn Bottom Quantile (bps) 9.511 8.166 6.238
Mean Period Wise Spread (bps) 0.081 0.432 1.961
All Time Technique Index
annual_return max_drawdown sharpe_ratio sortino_ratio calmar_ratio
1 0.262460 -0.212548 2.097394 3.233601 1.234831
2 0.217702 -0.210248 1.662270 2.450506 1.035452
3 0.265509 -0.214104 1.703122 2.469524 1.240094
4 0.298944 -0.217911 1.704481 2.470201 1.371859
5 0.249685 -0.241291 1.250625 1.758646 1.034789
Factor_Weighted Return 0.286164 -0.207076 1.583373 2.252938 1.381928
Top_minus_Bottom Return -0.008076 -0.242186 0.014310 0.019686 -0.033346
Top_minus_Index Return -0.002921 -0.156898 0.004700 0.006573 -0.018617
Year Wise Technique Index
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 1 0.572111 4.133123 -0.138421 3.968927 7.100373
2 0.468922 3.040559 -0.154222 3.102266 5.232713
3 0.518428 2.633893 -0.196829 2.701797 4.336103
4 0.620131 2.845794 -0.217911 2.791376 4.369185
5 0.561315 2.326298 -0.241291 2.128464 3.205915
2011-12-31 1 0.038648 0.181831 -0.212548 0.372320 0.503759
2 0.051611 0.245475 -0.210248 0.447920 0.594797
3 0.098195 0.458631 -0.214104 0.724129 0.944251
4 0.138724 0.679164 -0.204257 0.908108 1.218598
5 0.090434 0.395557 -0.228625 0.556526 0.729957
2012-12-31 1 0.227193 2.836061 -0.080109 2.140061 3.514413
2 0.153987 2.102352 -0.073245 1.452676 2.169371
3 0.200010 2.064706 -0.096871 1.572781 2.304463
4 0.148235 1.416671 -0.104636 1.064903 1.512201
5 0.109587 0.797258 -0.137455 0.747269 1.019992
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 Factor_Weighted Return 0.658614 3.291934 -0.200069 2.717491 4.197975
Top_minus_Bottom Return -0.004372 -0.021316 -0.205099 0.061943 0.086194
Top_minus_Index Return 0.015003 0.132477 -0.113253 0.199259 0.283455
2011-12-31 Factor_Weighted Return 0.086915 0.423489 -0.205235 0.592467 0.768138
Top_minus_Bottom Return 0.052426 0.431904 -0.121383 0.471468 0.655818
Top_minus_Index Return 0.010661 0.139847 -0.076233 0.179228 0.251143
2012-12-31 Factor_Weighted Return 0.143672 1.307891 -0.109850 1.095102 1.535058
Top_minus_Bottom Return -0.095047 -0.478904 -0.198469 -0.828970 -1.083111
Top_minus_Index Return -0.046982 -0.409126 -0.114836 -0.787637 -1.033749
Turnover Analysis
1D 5D 20D
Quantile 1 Mean Turnover 0.029 0.144 0.301
Quantile 2 Mean Turnover 0.055 0.273 0.488
Quantile 3 Mean Turnover 0.055 0.274 0.492
Quantile 4 Mean Turnover 0.044 0.222 0.438
Quantile 5 Mean Turnover 0.018 0.091 0.212
1D 5D 20D
Mean Factor Rank Autocorrelation 0.993 0.966 0.867
ccis
Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
max_loss is 35.0%, not exceeded: OK!
Quantiles Statistics
min max mean std count count %
factor_quantile
1 -5.507977e+15 8.395839e+01 -4.798779e+11 4.746502e+13 69012 20.22792
2 -1.502802e+02 1.615266e+02 -4.654791e+00 3.263332e+01 68040 19.94302
3 -3.929867e+01 2.156398e+02 4.794633e+01 2.452098e+01 68040 19.94302
4 1.130948e+01 3.268411e+02 1.049851e+02 3.515260e+01 68040 19.94302
5 4.989641e+01 9.541894e+06 1.880721e+03 8.281228e+04 68040 19.94302
Information Analysis
1D 5D 20D
IC Mean -0.001 -0.006 -0.007
IC Std. 0.058 0.061 0.060
Risk-Adjusted IC -0.025 -0.093 -0.112
t-stat(IC) -0.785 -2.892 -3.503
p-value(IC) 0.432 0.004 0.000
IC Skew 0.047 0.080 -0.006
IC Kurtosis -0.083 -0.404 0.337
IC>0 Prob 0.490 0.448 0.433
Observation 972.000 972.000 972.000
<Figure size 432x288 with 0 Axes>
Returns Analysis
1D 5D 20D
Ann. alpha -0.059 -0.028 -0.012
beta 0.083 0.060 0.027
Ann. alpha (000300 based) -0.059 -0.028 -0.012
beta (000300 based) 0.083 0.060 0.027
Mean Period Wise RateReturn Top Quantile (bps) 8.067 7.402 7.176
Mean Period Wise RateReturn Bottom Quantile (bps) 10.033 9.544 8.417
Mean Period Wise Spread (bps) -1.966 -2.131 -1.218
All Time Technique Index
annual_return max_drawdown sharpe_ratio sortino_ratio calmar_ratio
1 0.275005 -0.223019 1.810472 2.643038 1.233103
2 0.286558 -0.217555 1.824336 2.705572 1.317177
3 0.261101 -0.237820 1.601539 2.316537 1.097895
4 0.262305 -0.205023 1.627698 2.340814 1.279394
5 0.213315 -0.218712 1.449307 2.069100 0.975322
Factor_Weighted Return -0.054754 -0.378827 -0.235598 -0.311654 -0.144536
Top_minus_Bottom Return -0.051281 -0.246223 -0.630004 -0.870467 -0.208271
Top_minus_Index Return -0.038633 -0.168912 -0.736851 -0.999088 -0.228715
Year Wise Technique Index
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 1 0.462504 2.073831 -0.223019 2.536076 3.840592
2 0.736237 3.798862 -0.193805 3.571808 6.038110
3 0.571352 3.956726 -0.144400 2.795337 4.486665
4 0.570822 2.817785 -0.202578 2.893848 4.573114
5 0.423845 2.250619 -0.188324 2.425658 3.812476
2011-12-31 1 0.124473 0.685426 -0.181600 0.941127 1.281390
2 0.020812 0.095663 -0.217555 0.214671 0.283151
3 0.129319 0.566627 -0.228226 0.865391 1.146740
4 0.091962 0.449375 -0.204645 0.646778 0.853712
5 0.053899 0.246438 -0.218712 0.441198 0.563443
2012-12-31 1 0.259176 2.916818 -0.088856 1.928078 2.960884
2 0.175544 1.685060 -0.104177 1.459764 2.101822
3 0.082245 0.804819 -0.102190 0.702402 0.982037
4 0.141495 1.302629 -0.108623 1.122180 1.610007
5 0.185926 1.802799 -0.103132 1.470185 2.222392
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 Factor_Weighted Return -0.166065 -0.498405 -0.333193 -0.694786 -0.893297
Top_minus_Bottom Return -0.031213 -0.234851 -0.132908 -0.299836 -0.424178
Top_minus_Index Return -0.083753 -0.543292 -0.154159 -1.391966 -1.833315
2011-12-31 Factor_Weighted Return -0.026486 -0.133581 -0.198279 -0.114719 -0.151285
Top_minus_Bottom Return -0.064068 -0.584377 -0.109634 -0.907385 -1.214044
Top_minus_Index Return -0.028925 -0.506863 -0.057067 -0.591764 -0.804216
2012-12-31 Factor_Weighted Return 0.082835 0.688723 -0.120273 0.696200 1.088824
Top_minus_Bottom Return -0.060795 -0.550557 -0.110425 -0.864416 -1.190415
Top_minus_Index Return 0.014685 0.312972 -0.046921 0.378701 0.568144
Turnover Analysis
1D 5D 20D
Quantile 1 Mean Turnover 0.147 0.736 0.799
Quantile 2 Mean Turnover 0.159 0.797 0.801
Quantile 3 Mean Turnover 0.153 0.764 0.805
Quantile 4 Mean Turnover 0.153 0.767 0.798
Quantile 5 Mean Turnover 0.157 0.783 0.799
1D 5D 20D
Mean Factor Rank Autocorrelation 0.806 0.027 -0.003
Ks
Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
max_loss is 35.0%, not exceeded: OK!
Quantiles Statistics
min max mean std count count %
factor_quantile
1 0.000000 55.615454 18.470597 10.420565 69012 20.22792
2 7.444444 69.108325 37.625986 12.191434 68040 19.94302
3 12.899685 81.088332 52.109728 13.827268 68040 19.94302
4 18.395241 89.465103 65.706066 13.421904 68040 19.94302
5 27.281585 100.000000 82.396283 10.872758 68040 19.94302
Information Analysis
1D 5D 20D
IC Mean -0.000 -0.005 -0.008
IC Std. 0.083 0.092 0.089
Risk-Adjusted IC -0.003 -0.055 -0.092
t-stat(IC) -0.108 -1.720 -2.877
p-value(IC) 0.914 0.086 0.004
IC Skew -0.104 -0.194 -0.098
IC Kurtosis 0.080 0.432 0.696
IC>0 Prob 0.498 0.489 0.458
Observation 972.000 972.000 972.000
<Figure size 432x288 with 0 Axes>
Returns Analysis
1D 5D 20D
Ann. alpha -0.023 -0.016 -0.004
beta 1.014 1.007 0.999
Ann. alpha (000300 based) -0.023 -0.016 -0.004
beta (000300 based) 1.014 1.007 0.999
Mean Period Wise RateReturn Top Quantile (bps) 5.639 6.043 7.081
Mean Period Wise RateReturn Bottom Quantile (bps) 9.986 9.122 8.077
Mean Period Wise Spread (bps) -4.347 -3.161 -1.066
All Time Technique Index
annual_return max_drawdown sharpe_ratio sortino_ratio calmar_ratio
1 0.275687 -0.222728 1.982372 2.972386 1.237773
2 0.341881 -0.197694 2.024077 3.042103 1.729346
3 0.329208 -0.204861 1.930616 2.864403 1.606985
4 0.219370 -0.239151 1.349226 1.897634 0.917287
5 0.140512 -0.214235 0.977521 1.341886 0.655881
Factor_Weighted Return 0.236316 -0.200531 1.596097 2.255621 1.178447
Top_minus_Bottom Return -0.108090 -0.369884 -1.116967 -1.464333 -0.292227
Top_minus_Index Return -0.095998 -0.324512 -1.718983 -2.230768 -0.295823
Year Wise Technique Index
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 1 0.597586 4.047962 -0.147626 3.641368 6.222446
2 0.708935 3.844631 -0.184396 3.329250 5.654766
3 0.777408 4.612144 -0.168557 3.490459 5.656084
4 0.424449 1.774818 -0.239151 2.160127 3.282764
5 0.287597 1.342441 -0.214235 1.655659 2.397662
2011-12-31 1 0.090560 0.425453 -0.212854 0.722918 0.958543
2 0.136725 0.691598 -0.197694 0.924568 1.245396
3 0.133680 0.652539 -0.204861 0.881750 1.206132
4 0.055891 0.257961 -0.216663 0.427546 0.548659
5 0.004723 0.022548 -0.209488 0.104482 0.133395
2012-12-31 1 0.163102 1.904104 -0.085658 1.417162 2.226990
2 0.210497 2.073913 -0.101497 1.573175 2.316406
3 0.107332 0.925726 -0.115944 0.901286 1.297696
4 0.205045 1.953503 -0.104963 1.468859 2.132212
5 0.154120 1.672074 -0.092173 1.198189 1.689785
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 Factor_Weighted Return 0.492368 2.455316 -0.200531 2.724513 4.204999
Top_minus_Bottom Return -0.195958 -0.698537 -0.280527 -1.885851 -2.379268
Top_minus_Index Return -0.170444 -0.719908 -0.236758 -2.831837 -3.523685
2011-12-31 Factor_Weighted Return 0.071755 0.360269 -0.199170 0.564817 0.729932
Top_minus_Bottom Return -0.081073 -0.467188 -0.173534 -0.909683 -1.235055
Top_minus_Index Return -0.074571 -0.583947 -0.127701 -1.405534 -1.855366
2012-12-31 Factor_Weighted Return 0.164032 1.852138 -0.088564 1.360787 1.933595
Top_minus_Bottom Return -0.009806 -0.116476 -0.084193 -0.066506 -0.090878
Top_minus_Index Return -0.012325 -0.209390 -0.058863 -0.219711 -0.306127
Turnover Analysis
1D 5D 20D
Quantile 1 Mean Turnover 0.123 0.614 0.765
Quantile 2 Mean Turnover 0.154 0.770 0.794
Quantile 3 Mean Turnover 0.158 0.791 0.795
Quantile 4 Mean Turnover 0.154 0.772 0.795
Quantile 5 Mean Turnover 0.126 0.628 0.784
1D 5D 20D
Mean Factor Rank Autocorrelation 0.876 0.38 0.038
Ds
Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
max_loss is 35.0%, not exceeded: OK!
Quantiles Statistics
min max mean std count count %
factor_quantile
1 0.000000 54.137252 19.111616 10.358058 69012 20.22792
2 8.821598 69.112936 37.972553 11.792476 68040 19.94302
3 14.779690 80.913239 51.993902 13.354450 68040 19.94302
4 20.889116 88.908284 65.290701 12.995945 68040 19.94302
5 32.536037 100.000000 81.578019 10.717326 68040 19.94302
Information Analysis
1D 5D 20D
IC Mean 0.001 -0.003 -0.007
IC Std. 0.084 0.091 0.089
Risk-Adjusted IC 0.010 -0.029 -0.077
t-stat(IC) 0.312 -0.892 -2.401
p-value(IC) 0.755 0.373 0.017
IC Skew -0.091 -0.004 -0.023
IC Kurtosis 0.140 0.378 0.427
IC>0 Prob 0.503 0.483 0.469
Observation 972.000 972.000 972.000
<Figure size 432x288 with 0 Axes>
Returns Analysis
1D 5D 20D
Ann. alpha -0.020 -0.012 -0.003
beta 1.016 1.008 0.999
Ann. alpha (000300 based) -0.020 -0.012 -0.003
beta (000300 based) 1.016 1.008 0.999
Mean Period Wise RateReturn Top Quantile (bps) 5.603 6.387 7.173
Mean Period Wise RateReturn Bottom Quantile (bps) 9.521 8.581 7.654
Mean Period Wise Spread (bps) -3.918 -2.259 -0.538
All Time Technique Index
annual_return max_drawdown sharpe_ratio sortino_ratio calmar_ratio
1 0.260739 -0.215817 1.882438 2.811162 1.208151
2 0.334853 -0.222574 1.989867 2.979998 1.504456
3 0.376604 -0.189633 2.164259 3.236580 1.985957
4 0.198721 -0.260020 1.232503 1.728350 0.764253
5 0.139563 -0.213597 0.975201 1.342498 0.653396
Factor_Weighted Return 0.240673 -0.200412 1.618560 2.290783 1.200889
Top_minus_Bottom Return -0.098561 -0.385823 -0.987162 -1.327280 -0.255457
Top_minus_Index Return -0.096817 -0.336539 -1.742114 -2.291400 -0.287685
Year Wise Technique Index
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 1 0.583838 3.665321 -0.159287 3.526762 5.992558
2 0.714661 4.793455 -0.149091 3.416176 5.758442
3 0.827228 4.362250 -0.189633 3.703096 6.112849
4 0.410039 1.724858 -0.237724 2.062389 3.122192
5 0.272078 1.273796 -0.213597 1.572181 2.270523
2011-12-31 1 0.077700 0.360083 -0.215785 0.627420 0.830822
2 0.103355 0.464364 -0.222574 0.717096 0.963074
3 0.201882 1.155569 -0.174704 1.262462 1.745402
4 0.030847 0.118634 -0.260020 0.273282 0.348247
5 0.012053 0.065258 -0.184700 0.155943 0.200814
2012-12-31 1 0.144451 1.669675 -0.086514 1.311215 2.046537
2 0.232861 2.451223 -0.094998 1.704675 2.560297
3 0.120084 1.092275 -0.109940 0.965398 1.371882
4 0.184923 1.744499 -0.106004 1.359293 1.978784
5 0.158127 1.654699 -0.095562 1.226495 1.724435
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 Factor_Weighted Return 0.495571 2.472755 -0.200412 2.733430 4.209541
Top_minus_Bottom Return -0.199152 -0.706236 -0.281990 -1.858985 -2.409814
Top_minus_Index Return -0.180436 -0.728262 -0.247763 -2.935216 -3.699416
2011-12-31 Factor_Weighted Return 0.078027 0.393467 -0.198307 0.606047 0.786177
Top_minus_Bottom Return -0.063967 -0.331396 -0.193023 -0.688252 -0.960729
Top_minus_Index Return -0.068039 -0.498633 -0.136450 -1.335263 -1.786341
2012-12-31 Factor_Weighted Return 0.166476 1.860038 -0.089502 1.373524 1.957516
Top_minus_Bottom Return 0.010269 0.143843 -0.071391 0.159584 0.222332
Top_minus_Index Return -0.008853 -0.158488 -0.055858 -0.154515 -0.220662
Turnover Analysis
1D 5D 20D
Quantile 1 Mean Turnover 0.119 0.597 0.757
Quantile 2 Mean Turnover 0.153 0.764 0.792
Quantile 3 Mean Turnover 0.157 0.787 0.798
Quantile 4 Mean Turnover 0.153 0.767 0.789
Quantile 5 Mean Turnover 0.122 0.608 0.786
1D 5D 20D
Mean Factor Rank Autocorrelation 0.883 0.416 0.041
Js
Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
max_loss is 35.0%, not exceeded: OK!
Quantiles Statistics
min max mean std count count %
factor_quantile
1 -13.333333 53.155004 14.240655 11.235653 69012 20.22792
2 1.045660 72.353342 35.674637 13.724738 68040 19.94302
3 7.657986 85.584008 52.122686 15.746466 68040 19.94302
4 17.120402 95.346985 67.733836 14.971994 68040 19.94302
5 26.682540 113.333333 86.236124 11.952487 68040 19.94302
Information Analysis
1D 5D 20D
IC Mean 0.003 0.004 -0.002
IC Std. 0.087 0.092 0.087
Risk-Adjusted IC 0.038 0.042 -0.027
t-stat(IC) 1.171 1.306 -0.853
p-value(IC) 0.242 0.192 0.394
IC Skew 0.020 0.330 0.124
IC Kurtosis 0.089 0.510 0.924
IC>0 Prob 0.513 0.487 0.481
Observation 972.000 972.000 972.000
<Figure size 432x288 with 0 Axes>
Returns Analysis
1D 5D 20D
Ann. alpha -0.013 -0.003 -0.000
beta 1.009 1.000 0.987
Ann. alpha (000300 based) -0.013 -0.003 -0.000
beta (000300 based) 1.009 1.000 0.987
Mean Period Wise RateReturn Top Quantile (bps) 7.591 7.963 7.386
Mean Period Wise RateReturn Bottom Quantile (bps) 9.174 8.250 7.502
Mean Period Wise Spread (bps) -1.583 -0.358 -0.189
All Time Technique Index
annual_return max_drawdown sharpe_ratio sortino_ratio calmar_ratio
1 0.249722 -0.217530 1.809290 2.655831 1.147990
2 0.348565 -0.219968 2.051472 3.105822 1.584619
3 0.287587 -0.255421 1.724817 2.490276 1.125934
4 0.217282 -0.216904 1.332879 1.876725 1.001742
5 0.197818 -0.209357 1.306898 1.853222 0.944880
Factor_Weighted Return 0.246931 -0.204384 1.659384 2.356507 1.208172
Top_minus_Bottom Return -0.044231 -0.232721 -0.385489 -0.549214 -0.190060
Top_minus_Index Return -0.050549 -0.193141 -0.829013 -1.143236 -0.261718
Year Wise Technique Index
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 1 0.637614 4.302011 -0.148213 3.722850 6.240106
2 0.703167 4.027800 -0.174578 3.315445 5.637550
3 0.546408 2.696673 -0.202623 2.740758 4.409066
4 0.443625 2.045260 -0.216904 2.146968 3.195208
5 0.427179 2.040428 -0.209357 2.275813 3.423765
2011-12-31 1 0.040444 0.190275 -0.212555 0.364103 0.475401
2 0.148021 0.672921 -0.219968 0.969557 1.318805
3 0.112787 0.441575 -0.255421 0.763852 0.997333
4 0.073837 0.363547 -0.203102 0.551798 0.721689
5 0.045265 0.242732 -0.186483 0.380108 0.501089
2012-12-31 1 0.110140 1.441863 -0.076387 1.053210 1.563354
2 0.222306 2.334194 -0.095239 1.698297 2.569212
3 0.226577 2.377355 -0.095306 1.611621 2.345869
4 0.145856 1.214445 -0.120101 1.098478 1.560872
5 0.137934 1.619639 -0.085164 1.102395 1.584753
annual_return calmar_ratio max_drawdown sharpe_ratio sortino_ratio
date
2010-12-31 Factor_Weighted Return 0.497843 2.435817 -0.204384 2.750685 4.225463
Top_minus_Bottom Return -0.131539 -0.668676 -0.196715 -1.107976 -1.522004
Top_minus_Index Return -0.080521 -0.642653 -0.125295 -1.135563 -1.526965
2011-12-31 Factor_Weighted Return 0.090181 0.460650 -0.195770 0.689564 0.901417
Top_minus_Bottom Return 0.001690 0.016133 -0.104764 0.064708 0.096415
Top_minus_Index Return -0.036992 -0.325554 -0.113627 -0.662007 -0.963551
2012-12-31 Factor_Weighted Return 0.167675 1.842265 -0.091015 1.377328 1.970080
Top_minus_Bottom Return 0.023307 0.324785 -0.071762 0.302384 0.444262
Top_minus_Index Return -0.026409 -0.388215 -0.068026 -0.511577 -0.698720
Turnover Analysis
1D 5D 20D
Quantile 1 Mean Turnover 0.137 0.688 0.766
Quantile 2 Mean Turnover 0.156 0.780 0.798
Quantile 3 Mean Turnover 0.159 0.795 0.797
Quantile 4 Mean Turnover 0.155 0.773 0.797
Quantile 5 Mean Turnover 0.140 0.701 0.788
1D 5D 20D
Mean Factor Rank Autocorrelation 0.848 0.237 0.033
rsis
Dropped 100.0% entries from factor data: 2.8% in forward returns computation and 97.2% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
---------------------------------------------------------------------------
MaxLossExceededError                      Traceback (most recent call last)
<ipython-input-159-3038a46c741b> in <module>
      3     print(i)
      4     factor_path=r'./factors/{}.csv'.format(i)
----> 5     alphalens_run(factor_path,pricing_path)

<ipython-input-107-ec422ccdb590> in alphalens_run(factor_path, pricing_path)
     24 
     25     # Ingest and format data
---> 26     factor_data = alphalens.utils.get_clean_factor_and_forward_returns(my_factor,
     27                                                                     pricing_,
     28                                                                     quantiles=5,

c:\Projects\alphalens\alphalens\utils.py in get_clean_factor_and_forward_returns(factor, prices, groupby, binning_by_group, quantiles, bins, periods, filter_zscore, groupby_labels, max_loss, zero_aware, cumulative_returns)
    916     )
    917     #以forward_returns 作base,mereg factor ,然后dropna
--> 918     factor_data = get_clean_factor(factor, forward_returns, groupby=groupby,
    919                                    groupby_labels=groupby_labels,
    920                                    quantiles=quantiles, bins=bins,

c:\Projects\alphalens\alphalens\utils.py in get_clean_factor(factor, forward_returns, groupby, binning_by_group, quantiles, bins, groupby_labels, max_loss, zero_aware)
    740         message = ("max_loss (%.1f%%) exceeded %.1f%%, consider increasing it."
    741                    % (max_loss * 100, tot_loss * 100))
--> 742         raise MaxLossExceededError(message)
    743     else:
    744         print("max_loss is %.1f%%, not exceeded: OK!" % (max_loss * 100))

MaxLossExceededError: max_loss (35.0%) exceeded 100.0%, consider increasing it.
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